The Mathematics of Arbitrage

Math Union Lecture

Professor Matheus Grasselli (McMaster University)

Wednesday, March 24, at 3:30pm in BA 1160

In this talk I will review the framework

underlying most of modern mathematical

finance, including the mathematical definitions

of assets prices, trading strategies, arbitrage

opportunities and fair prices. The goal is to state

the so called Fundamental Theorem of Asset

Pricing in different contexts, ranging from

simple markets with discrete time and finite

sample spaces to very general ones where

trading takes place in continuous time and prices

can jump by unbounded amounts. Whereas its

proof in the simple case requires nothing more

than undergraduate Linear Algebra (and some

ingenuity), the most demanding result requires

PhD level techniques and beyond.

Open to everyone, especially undergraduates!

Refreshments will be served beforehand at 3:00 on

the 6th floor math lounge.

Brought to you by the Math Union, your undergraduate student representatives.

## no comment as of now